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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cotton(ICE) as of Dec 06, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 17 26 22 32 23 25 25 25 21 23
Exceeded High   15 15 19 18 27 19 21 16 18 15 9
Scenario Percentage   63% 88% 73% 82% 84% 83% 84% 64% 72% 71% 39%
Avg Max Increase   11.95% 10.90% 7.51% 8.81% 11.88% 11.85% 7.10% 10.65% 8.49% 8.68% 3.25%
Max Increase   38.43% 44.56% 25.54% 22.09% 55.11% 35.33% 16.56% 35.75% 22.13% 19.49% 7.68%
Avg Days To Max Increase   15 17 18 24 20 15 20 20 15 10 6
Avg Max Decline   -1.78% -1.90% -1.03% -1.92% -2.36% -2.03% -2.73% -2.27% -3.19% -2.50% -0.37%
Max Decline   -4.46% -4.87% -5.00% -6.60% -10.31% -6.34% -10.16% -6.25% -9.31% -7.63% -2.10%
Avg Days to Max Decline   7 6 5 7 12 7 12 6 8 4 1
2024 Contract Condition   Yes Yes     Yes Yes Yes        
Action   Yes Yes     Yes Yes No        
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 28 19 23 13 22 20 20 20 24 22
Penetrated Low   14 23 14 14 11 19 17 15 18 21 14
Scenario Percentage   67% 82% 74% 61% 85% 86% 85% 75% 90% 88% 64%
Avg Max Decline   8.15% 7.15% 6.40% 4.84% 7.33% 7.69% 7.40% 8.73% 11.93% 9.66% 5.10%
Max Decline   34.26% 37.42% 20.70% 8.80% 19.61% 29.40% 22.68% 19.89% 26.06% 31.87% 9.55%
Avg Days To Max Decline   15 19 15 17 18 17 16 13 17 10 5
Avg Max Increase   -1.63% -2.78% -2.05% -1.82% -2.06% -2.31% -2.86% -2.95% -3.85% -2.41% -1.66%
Max Increase   -3.85% -6.19% -6.33% -4.99% -8.15% -8.91% -10.79% -12.95% -14.94% -6.27% -4.87%
Avg Days to Max Increase   10 13 6 11 16 11 9 10 13 7 2
2024 Contract Condition       Yes Yes       Yes Yes Yes Yes
Action       Yes No       Yes Yes Yes Yes
High 87.03 87.72 89.57 90.06 84.88 83.69 87.65 102.68 99.85 93.44 83.19 76.53
Low 79.50 83.34 85.06 84.95 79.65 79.85 81.57 86.70 91.14 78.03 73.68 67.85
Close/Last 84.20 86.82 88.23 84.98 81.28 82.83 87.13 97.77 91.97 78.43 76.15 69.81

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